LINEAR-ESTIMATION IN KREIN SPACES .2. APPLICATIONS

We show that several interesting problems in H-infinity-filtering, qua dratic game theory, and risk sensitive control and estimation follow a s special cases of the Krein-space linear estimation theory developed in [1]. We show that all these problems can be cast into the problem o f calculating the stationary point of certain second-order forms, and that by considering the appropriate state space models and error Grami ans, we can use the Krein-space estimation theory to calculate the sta tionary points and study their properties, The approach discussed here allows for interesting generalizations, such as finite memory adaptiv e filtering with varying sliding patterns.